Of course it will be a little more. I always have the thought process that what I am paying for is their experience first and quality second. Meaning they know how to help, answer questions correctly, and always cull out the bad lumber or products which do not work well. They want to keep your business rather than sell volume.
I get actually have a contractors discount of 12% and billing at the end of the month with my lumber yards. If I pay before I get the bill, they add another 2%.
With a $100,000 addition...that saves me...??? never was good with math, that's why I'm a carpenter.

It all depends on where you live, and the volume you buy, for homeowners I would guess about 5% more. But work with them and talk to the owner if you have to. Granted they will never be lower than the box store, but they should reward loyalty.

It depends on the lumber. I assume you are talking about construction grade stuff. 2x4s and the like. A trades focused yard may not have as good of a price as the big box stores. Really, if they do it will be volume pricing for regular customers. The average joe will end up paying more for a 2x4 and a true lumber yard. Those lumber yards offer many additional services that the big orange or blue stores don't. Scheduling, deliveries, plan take-offs, credit terms, a cup of coffee, etc.

Just a note. If you DO end up going to Lowe's or Home Depot, I suggest forgetting Lowe's. While framing my basement, I started out buying some lumber at Lowe's. Big mistake. Their lumber was terrible quality. By comparison, everything from Home Depot has been terrific quality (with an occasional exception). We have two big lumber yards nearby us, and I was going to use them...except they are always closed when I'm off work and able to go (both close by 5:00 pm, and aren't opened on weekends). So, I had no choice but to use Home Depot. But I'll never again buy wood from Lowe's.